Unlocking the file is a good suggestion. It would also be helpful if you try removing it from Terminal like allan.nyholm suggested; then if it fails you can at least get a specific error message.

Troubleshooting this issue should be easier for you with a complete understanding of the OS X permissions system. Unfortunately Apple developed more than one. The first answer to this superuser.com question provides a good overview of permissions in OS X.

Mac files can be protected in four three different ways that I'm aware of:

Standard Unix ownerships and permissions like r/w/x for user/group/others that you see with ls -l and fix with chown(1) and chmod(1).

File flags like uchg and schg that you see with ls -lO and fix with chflags(1).

The old Finder metadata "Lock bit" that you see with GetFileInfo filename. You can also see the presence of the Finder metadata, but not its meaning, with ls -l@. You can fix it with SetFile(1).Never mind, this is mapped to the uchg flag now.

Access Control Lists (ACLs) that you see with ls -le and fix with the ACL-related arguments to chmod(1).

So let's see what's up with your file by combining all those flags to ls: